Exporting to fbx - halo material is lost
I don't think that Blender's .FBX exporter exports halo's. Even if it did, the software you're exporting to (in this case XNA) also has to have support for halo materials.

Most of the time, it's just best to export meshes, UV maps and animations with the exporters, as materials and lights vary wildly from program to program. Do all the material setup in the target program.